Report NEP-MST-2011-04-09
This is the archive for NEP-MST, a report on new working papers in the area of Market Microstructure. Thanos Verousis issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon.
Other reports in NEP-MST
The following items were announced in this report:
- Francis Breedon & Angelo Ranaldo, 2011. "Intraday patterns in FX returns and order flow," Working Papers 2011-04, Swiss National Bank.
- john cotter & kevin dowd, 2011. "Intra-Day Seasonality in Foreign Exchange Market Transactions," Papers 1103.5664, arXiv.org.
- Guglielmo D'Amico & Filippo Petroni, 2011. "A semi-Markov model for price returns," Papers 1103.6143, arXiv.org.
- John Cotter & Franc{c}ois Longin, 2011. "Margin setting with high-frequency data1," Papers 1103.5412, arXiv.org.
- Massimiliano Marzo & Paolo Zagaglia, 2011. "Trading Directions and the Pricing of Euro Interbank Deposits in the Long Run," Working Paper series 20_11, Rimini Centre for Economic Analysis.
- Rohini Grover & Susan Thomas, 2011. "Liquidity considerations in estimating implied volatility," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-006, Indira Gandhi Institute of Development Research, Mumbai, India.
- Jörg Rieger & Kirsten Rüchardt & Bodo Vogt, 2011. "Arbitrage opportunities between NYSE and XETRA?: A comparison of simulation and high frequency data," FEMM Working Papers 110005, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
- John Cotter, 2011. "Uncovering Long Memory in High Frequency UK Futures," Papers 1103.5651, arXiv.org.
- John Cotter, 2011. "Minimum Capital Requirement Calculations for UK Futures," Papers 1103.5416, arXiv.org.
- john cotter & kevin dowd, 2011. "The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders," Papers 1103.5661, arXiv.org.